Neyman-Pearson Hedging and Dynamic Measures of Risk

Kohlmann, Michael

Neyman-Pearson Hedging and Dynamic Measures of Risk

Files

494_1.pdf(2.2 MB)

Date

2000

Authors

Kohlmann, Michael

Series

CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2000/11

Publication type

Working Paper/Technical Report

Abstract

In both complete and incomplete markets we consider the problem of fulfilling
a financial obligation x as well as possible at time T if the initial capital is not
sufficient to hedge x. This introduces a new risk into the market and our main
aim is to minimize this shortfall risk by making use of results from bsde theory.

Subject (DDC)

510 Mathematics

Keywords

capital requirement,hedging,Neyman-Pearson hedging,dynamic measures of risk,mean variance hedging

Cite This

ISO 690

KOHLMANN, Michael, 2000. Neyman-Pearson Hedging and Dynamic Measures of Risk

BibTex

@techreport{Kohlmann2000Neyma-696,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Neyman-Pearson Hedging and Dynamic Measures of Risk},
  number={2000/11},
  author={Kohlmann, Michael}
}

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